Strategy 23_ESNQ – An update and revision of strategies 7 & 8
This strategy is an an improved and combined version of strategy 7 and 8 that came out earlier this year. It boasts a PF of 3, Sharpe of 0.87, and 66% accuracy in 229 trades in the last ten years.
Disclaimer: the following post is an organized representation of my research and project notes. It doesn’t represent any type of advice, financial or otherwise. Its purpose is to be informative and educational. Backtest results are based on historical data, not real-time data. There is no guarantee that these hypothetical results will continue in the future. Day trading is extremely risky, and I do not suggest running any of these strategies live.
I know what you are thinking–Didn’t we skip some numbers? If you are thinking that, you would be correct. We certainly did skip some numbers. We skipped strategies 21 and 22. Strategy 21 has turned into something more after getting revised, so hopefully I will finish up with it in a day or two and get it published. Strategy 22 just isn’t quite finished yet, but it will be soon. So, we get strategy 23 today.
Strategy 23 (as mentioned in the article caption) is an updated version of Strategy 7 and Strategy 8. It trades long positions only, has been simplified, and changes one of the strategies from a “day trading” strategy into a 2-3 day hold. It doesn’t trade too often, but it doesn’t have any years in which it is flat either. This is a start of building out a ES/NQ futures trading strategy portfolio. This will be an ongoing project for the next few months as we work on getting all of the current and future (heh) futures strategies scripted and trading in portfolios together.
Red Team members, you will see that this strategy has an extra strategy in the code that is commented out currently. This is a third strategy variation that uses the same indicators and methods to time short trades using a weekly bar signal. Feel free to mess around with it and see how it helps this set of strategies perform.
For everyone else, this strategy has multiple ways that it can be used, depending on whether you are looking to hold over night positions or close at the end of each day (EOD). For example, Strategy 7 is a short-term long mean reversion strategy that holds a position for 2-3 days. This can easily be changed to closing at EOD if you want to experiment with using it as a day trading signal. If you want to turn the trend-following strategy into a longer holding strategy, you can convert 8 and then use the mean reversion strategy on the weekly bar to play with supplementing it the traditional way.
Strategy 23 is meant to be played with. Results from all variations of it are intriguing, for such a simple strategy. So, make sure you play around with it and see what looks good for you.
If you haven’t subscribed yet, you are missing out. You can sign up for free below or upgrade to a paid subscription
Strategy 23 Report
Strategy 23 Logic
The rest of this post is for paid subscribers. Paid subscribers will have access to all paid publications, strategies, code associated with posts, and access to the HGT chat room. Red Team members will have access to the community GitHub and more.